高频交易和金融建模手册

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高频交易和金融建模手册(高清全英文有目录)Handbook of High-Frequency Trading and Modeling in Finance [1 ed.].pdf
Handbook of High-Frequency Trading and Modeling in Finance Wiley handbooks in FINANCIAL ENGINEERING AND ECONOMETRICS Advisory Editor Ruey S Tsay The University of Chicago Booth School of Business, USA A complete list of the titles in this series appears at the end of this volume. Handbook of High-Frequency Trading and Modeling in Finance Edited by IONUT FLORESCU MARIA C. MARIAN H。 EUGENE STANLEY FREDERIG VIENS WILEY Copyright@ 2016 by John Wiley Sons, Inc. All rights reserved Published by John Wiley Sons, Inc, Hoboken, New Jersey Published simultaneously in Canada No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, InC, 222 Rosewood Drive, Danvers, MA 01923, (978)750-8400, fax(978)750-4470,oronthewebatwww.copyright.com.RequeststothePublisherforpermission should be addressed to the permissions department, John wiley sons, Inc, lll River Street Hoboken,NJ07030,(201)748-6011,fax(201)748-6008, or online at http://www.wiley.com/go/permission Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of representatives or written sales materials. The advice and strategies contained herein may not be merchantability or fitness for a particular purpose. No warranty may be created or extended by sal suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor author shall be liable for any loss of profit or any other commercial damages, includin but not limited to special, incidental, consequential, or other damages For general information on our other products and services or for technical support, please contact our Customer Care Department within the United States at(800)762-2974, outside the United States at (317)572-3993 or fax(317)572-4002. wiley also publishes its books in a variety of electronic formats. Some content that appears in print may not be available in electronic formats. For more information about wiley products, visit our web siteatwww.wiley.com Library of Congress Cataloging-in-Publication Data: Names: Florescu. Ionut. 1973-editor Title: Handbook of high-frequency trading and modeling in finance /edited by lonut florescu Maria C. Mariani, H. Eugene Stanley, Frederi G. Viens. Description: Hoboken, NJ: John Wiley Sons, InC, [2016] Includes index. Identifiers: LCCN 2015043237(print)I LCCN 2016000501(ebook)I isBn9781118443989(cloth) ISBN9781118593400(pdf|ISBN9781118593325(epub Subjects: LCSH: Investment analysis-Mathematical models I Investments-Mathematical models I Finance-Mathematical models Classification: LCC HG4529 H35863 2016(print)I LCC HG4529(ebook) DDC332.64/20285dc2 Lcrecordavailableathttp://icCn.loc.gov/2015043237 Printed in the United States of america 10987654321 Contents Notes on Contributors xiii Preface xv Trends and trades Michael Carlisle, Olympia Hadjiliadis, and ioannis Stamos 1.1 Introduction 1.2 A trend-based trading strategy 3 1.2.1 Signaling and trends 3 1.2.2 Gain over a subperiod5 1.3 CUSUM timing 7 1.3.1 Cusum process and stopping time 7 1.3.2 A CUSUM timing scheme 10 1.3.3 US treasury notes, CUSUM timing 1/ 1.4 Example: Random walk on ticks 12 1.4.1 Random walk expected gain over a subperiod 15 1.4.2 Simple random walk, CUSUM timing 18 1.4.3 Lazy simple random walk, cusum timing 21 1.5 CUSUM Strategy Monte Carlo 24 1.6 The effect of the threshold parameter 27 1.7 Conclusions and future work 39 Appendix: Tables 40 References 47 2 Gaussian Inequalities and Tranche Sensitivities 5/ Claas Becker and Ambar N sengupta 2.1 Introduction 5/ 2.2 The tranche loss function 52 2.3 A sensitivity identity 54 2. 4 Correlation sensitivities 55 Acknowledgment 58 References 58 Contents 3 A Nonlinear Lead Lag Dependence Analysis of Energy Futures: Oil Coal and Natural Gas 6/ German g. Creamer and Bernardo creamer 3.1 Introduction 6/ 3.1.1 Causality analysis 62 3.2 Data 64 3.3 Estimation techniques 64 3, 4 Results 65 3.5 Discussion 67 3.6 Conclusions 69 Acknowledgments 69 References 70 4 Portfolio Optimization: Applications in Quantum Computing 73 Michael marzec 4.1 Introduction 73 4.2 Background 75 4.2.1 Portfolios and optimization 76 4.2.2 Algorithmic complexity 77 4.2.3 Performance 78 4.2.4 Ising model 79 4.2.5 Adiabatic quantum computing 7 4. 3 The models 80 4.3.1 Financial model 8/ 4.3.2 Graph-theoretic combinatorial optimization models 82 4.3.3 Ising and Qubo models 83 4.3.4 Mixed models 84 4. 4 Methods 84 4.4.1 Model implementation 85 4.4.2 Input data 85 4.4.3 Mean-variance calculations 85 4.4.4 Implementing the risk measure 86 4.4.5 Implementation mapping 86 4.5 Results 88 4.5.1 The simple correlation model 88 4.5.2 The restricted minimum-risk model 91 4.5.3 The WMiS minimum-risk, max return model 94 Contents V 4.6 Discussion 95 4.6.1 Hardware limitations 97 4.6.2 Model limitations 97 4.6.3 Implementation limitations 98 4.6.4 Future research 98 4.7 Conclusion 100 Acknowledgments 00 Appendix 4.A: WMIS Matlab Code 100 References 03 5 Estimation Procedure for Regime Switching Stochastic Volatility Model and Its Applications 107 Tonut florescu and forrest levin 5.1 Introduction 07 5.1.1 The original motivation 108 5.1.2 The model and the problem 108 5.1.3 a brief historical note 109 5.2 The methodology 110 5.2.1 Obtaining filtered empirical distributions at t1,…,tr110 5.2.2 Obtaining the parameters of the Markov chain 112 5.3 Results obtained applying the model to real data 113 5.3.1 Part 1: financial applications 113 5.3.2 Part ii: physical data application temperature data 19 5.3.3 Part iii: analysis of seismometer readings during an earthquake 12/ 5.3.4 Analysis of the earthquake signal: beginning 123 5.3.5 Analysis: during the earthquake 125 5.3.6 Analysis: end of the earthquake signal aftershocks /27 5. 4 Conclusion /27 5.a Theoretical results and empirical testing 128 5.A.1 How does the particle filter work? 128 5.A.2 Theoretical results about convergence and parameter estimates 129 5.A.3 Markov chain parameter estimates 131 5.A.4 Empirical testing 132 5.A.5 A list of supplementary documents 133 References 33 vIlI Contents 6 Detecting Jumps in High-Frequency Prices Under Stochastic Volatility: A Review and a Data-Driven pproach 137 Ping-Chen Tsai and Mark B. Shackleton 6.1 Introduction 137 6.2 Review on the intraday jump tests 140 6.2.1 Realized volatility measure and the bns tests 140 6.2.2 The abd and lm tests 42 6.3 A data-driven testing procedure 146 6.3.1 Spy data and microstructure noise 146 6.3.2 A generalized testing procedure 149 6.4 Simulation study 153 6.4.1 Model specification 153 6.4.2 Simulation results 58 6.5 Empirical results 16/ 6.5.1 Results on the backward-looking test 162 6.5.2 Results on the interpolated test 16.5 6.6 Conclusion 165 Acknowledgments 166 Appendix 6.A: Least-square estimation of HAR-MA(2) model for log(bp) of sPy 167 Appendix 6. B: Estimation of ARMA (2, 1)model for log(BP) of SPY 168 Appendix 6. C: Minimized loss function loss(p1, p2)for SV2FJ 2p model. SPY 169 Appendix 6.D. 1: Calibration of 5 under S v2FJ_2p model at 2-min frequency, E[N=0.08 170 Appendix 6 D 2: Calibration of 5 under SV2FJ_2p model at 2-min frequency, E[N]=0.40777 Appendix 6D3: Calibration of 5 under SV2FJ_2p model at 5-min frequency, EIN,]=0.08 172 Appendix 6 D 4: Calibration of s under s v2F]_2p model at 5-min frequency, EIN,=0.40 173 Appendix 6 D5: Calibration of 5 under SV2FJ_2p model at 10-min frequency, E[N=0.08 174 Appendix 6D6: Calibration of s under SV2FJ_2p model at 10-min frequency, EIN]=0.40 175 References 75

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